Amir Atiya

Was born in Cairo, Egypt. He received his B.S.
degree in 1982 from Cairo University (Egypt), and the M.S. and
Ph.D. degrees in 1986 and 1991 from Caltech, Pasadena, CA,
all in electrical engineering. He held positions in academia,
as well as several positions in financial firms.
From 1997 to 2001 he was a Visiting Associate at Caltech.
On leave from Cairo University, he recently held research positions in the firms Simplex Risk Management,
Hong Kong, Countrywide Corporation in Los Angeles,
and Dunn Capital Management, Florida.
Currently, he is a Research Scientist with Veros Systems, Texas.

Research Interests

Application of stochastic methods and optimization theory to communications networks.

Some Recent Work:

Dynamic Pricing:

Dynamic pricing is the theory of adjusting the price of a merchandise dynamically
with time in an attempt to maximize revenue. It started in the airline industry,
and has grown substantially to cover many types of products.
We have developed a number of dynamic pricing models,
applied to the hotel industry
and to the telecom industry.
Our models rely on large scale Monte Carlo or agent based
simulation. They have aspects of learning
process parameters, time series forecasting,
and emulating buyer's behavior, all combined
in a way to achieve an accurate and realistic
modeling of demand, and subsequently obtaining
the optimal pricing strategy.
(see hotel modeling,
and hotel dynamic pricing papers).

Analyzing the Maximum Drawdown:

Theoretical analysis of the maximum drawdown risk measure, developing formulas
relating it with the Sharpe Ratio, and analyzing its asymptotic behavior.
See the papers maximum drawdown 1 (Journal
of Applied Probability)
and maximum drawdown 2 (Risk Magazine).
The developed theoretical formula (for the expected maximum drawdown)
was selected by Matlab and included in
the financial time series toolbox of
Matlab (the
emaxdrawdown
function)
Also, it was selected to be included in Wikipedia, the on-line encyclopedia:
(see
drawdown on wikipedia)